Results 171 to 180 of about 156,527 (368)
How arbitrage-free is the Nelson-Siegel Model? [PDF]
We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999).
Coroneo, Laura +2 more
core
On the Different Notions of Arbitrage and Existence of Equilibrium [PDF]
, 1999 Rose‐Anne Dana +2 more
openalex +1 more source
Bond mutual fund performance: Evidence from the skill ratio and false discovery rate
Financial Review, EarlyView.Abstract This paper applies a Skill Ratio under a False Discovery Rate (FDR) framework to bond mutual funds showing many bonds mutual fund managers are skilled primarily to the benefit of fund sponsors. Our Skill Ratio is the t‐statistic of realized gross value added (RVAG)$( {{\mathrm{RV}}{{\mathrm{A}}_{\mathrm{G}}}} )$ based on investible Morningstar
Lifa Huang +2 more
wiley +1 more source
Optimal economic and environmental arbitrage of grid-scale batteries with a degradation-aware model
Energy Conversion and Management: XEnergy arbitrage is a potential revenue stream for battery operators with access to variable electricity prices. However, the power shifted by grid-scale energy storage has the potential to influence the production mix in real time, impacting the carbon ...
Cem Keske +3 more
doaj
Arbitrage Equilibrium, Invariance, and the Emergence of Spontaneous Order in the Dynamics of Bird-like Agents. [PDF]
Entropy (Basel), 2023 Sivaram A, Venkatasubramanian V.
europepmc +1 more source
It should be expected from this paper an expansion on some distinctive issues regarding arbitrage portfolios: i) a definition on arbitrage portfolios that enables adjustments to SML and CML environments; ii) sufficient conditions to set up arbitrage ...
Rodolfo Apreda
core
A Necessary and Sufficient Condition for Absence of Arbitrage with Tame Portfolios [PDF]
, 1995 Shlomo Levental, Antolii V. Skorohod
openalex +1 more source
Estimating Hedge Fund Leverage: A Three‐Step Estimation Protocol
Financial Markets, Institutions &Instruments, EarlyView.ABSTRACT Utilizing a micro‐level hedge fund dataset, we propose a methodology for estimating hedge fund leverage. Initially, we perform a Principal Component Analysis on a set of 49 risk factors for dimension deduction purposes. After acquiring 10 Principal Components, we deploy the Least Absolute Shrinkage and Selection Operator regression (Lasso) per
Ariston Karagiorgis, Konstantinos Drakos
wiley +1 more source
International Pricing with Costly Consumer Arbitrage [PDF]
, 1999 Simon P. Anderson, Victor Ginsburgh
openalex +1 more source
Interplay Between Competition Networks, Strategy Uniqueness, and Hedge Fund Performance
Financial Markets, Institutions &Instruments, EarlyView.ABSTRACT This study investigates the effect of competition networks among hedge fund managers on strategy distinctiveness and fund performance. Using a sample of 2711 US‐based hedge funds from the Lipper TASS database between 1994 and 2018, we construct a hedge fund competition network (HFCN) based on alumni and employment ties derived from LinkedIn ...
Maher Kooli, Min Zhang
wiley +1 more source